increasing risk premia, and countercyclicality in response to rises in the risk-free rate. Using granular data on insurers …

granular data on the bond transactions of U.S. insurance companies. Liquidity inflows from insurance premiums combined with …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

overnight unsecured loans. Using proprietary bank-level data, we find that interbank rate uncertainty significantly raises … and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital … positions and greater access to central bank funding …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring …